Title: The quality option in the treasury bond futures market: An empirical assessment
Abstract: Journal of Futures MarketsVolume 6, Issue 2 p. 231-248 Article The quality option in the treasury bond futures market: An empirical assessment Alex Kane, Alex Kane Associate Professor of Finance in the School of Management at Boston UniversitySearch for more papers by this authorAlan J. Marcus, Alan J. Marcus Associate Professor of Finance in the School of Management at Boston UniversitySearch for more papers by this author Alex Kane, Alex Kane Associate Professor of Finance in the School of Management at Boston UniversitySearch for more papers by this authorAlan J. Marcus, Alan J. Marcus Associate Professor of Finance in the School of Management at Boston UniversitySearch for more papers by this author First published: Summer 1986 https://doi.org/10.1002/fut.3990060206Citations: 32AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Bibliography Bodie, Z., Kane, A., and McDonald, R. (1984a, March-April): "Why Haven't Nominal Rates Declined?" Financial Analysts Journal 40: 16–27. 10.2469/faj.v40.n2.16 Google Scholar Bodie, Z., Kane, A. and McDonald, R. (1984b): " Inflation and the Role of Bonds in Investor Portfolios." I Corporate Capital Structures in the United States, edited by Benjamin Friedman. Chicago: University of Chicago Press, 1984b. Google Scholar Constantinides, G. M., and Ingersoll, J. E. (1982, May): "Tax Effects and Bond Prices." Journal of Finance 37: 349–352. 10.1111/j.1540-6261.1982.tb03556.x Web of Science®Google Scholar Garbade, K. and Silber, W. (1983, July): "Futures Contracts on Commodities with Multiple Varieties: An Analysis of Premiums and Discounts." Journal of Business 56: 249–272. 10.1086/296201 Web of Science®Google Scholar Gay, G. D., and Manaster, S. (1984): "The Quality Option Implicit in Futures Contracts," Journal of Financial Economics, 13: 353–370. 10.1016/0304-405X(84)90004-7 Web of Science®Google Scholar Jones, R. A. (1985, Spring): "Conversion Factor Risk in Treasury Bond Futures: Comment." Journal of Futures Markets, 5: 115–119. 10.1002/fut.3990050112 Web of Science®Google Scholar Kane, A., and Marcus, A. (1984, Spring): "Conversion Factor Risk and Hedging in the Treasury Bond Futures Market," Journal of Futures Markets 4: 55–64. 10.1002/fut.3990040107 Web of Science®Google Scholar Kane, A., and Marcus, A. (1986, March): "Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Future Market," Journal of Finance 40: forthcoming. Web of Science®Google Scholar Kilcollin, T. E. (1982, December): "Difference Systems in Financial Futures Markets." Journal of Finance 37: 1183–1198. 10.1111/j.1540-6261.1982.tb03611.x Web of Science®Google Scholar Merton, R. M. (1977, November): "On the Pricing of Contingent Claims and the Modigliani-Miller Theorem." Journal of Financial Economics, 5: 241–249. 10.1016/0304-405X(77)90020-4 Web of Science®Google Scholar McCulloch, J. H. (1971, January): "Measuring the Term Structure of Interest Rates." Journal of Business 44: 19–31. 10.1086/295329 Web of Science®Google Scholar McCulloch, J. H. (1975, June): "The Tax-Adjusted Yield Curve." Journal of Finance 30: 811–830. 10.1111/j.1540-6261.1975.tb01852.x Web of Science®Google Scholar Yardeni, E. E. " Managing Interest Rate Risk with Bond Futures," Center for the Study of Futures Markets (Columbia Business School) Working Paper #CSFM-10, 1981. Google Scholar Citing Literature Volume6, Issue2Summer 1986Pages 231-248 ReferencesRelatedInformation
Publication Year: 1986
Publication Date: 1986-06-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 56
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